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Robustness of quadratic hedging strategies in finance via Fourier transforms

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CONVERGENCE, SIMULATION, OPTION PRICES, MARTINGALE MEASURES, LEVY PROCESSES, FOLLMER-SCHWEIZER DECOMPOSITION, Robustness, Fourier transforms, Quadratic hedging, Options, Levy processes

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Chicago
Daveloose, Catherine, Asma Khedher, and Michèle Vanmaele. 2016. “Robustness of Quadratic Hedging Strategies in Finance via Fourier Transforms.” Journal of Computational and Applied Mathematics 296: 56–88.
APA
Daveloose, C., Khedher, A., & Vanmaele, M. (2016). Robustness of quadratic hedging strategies in finance via Fourier transforms. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 296, 56–88.
Vancouver
1.
Daveloose C, Khedher A, Vanmaele M. Robustness of quadratic hedging strategies in finance via Fourier transforms. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS. 2016;296:56–88.
MLA
Daveloose, Catherine, Asma Khedher, and Michèle Vanmaele. “Robustness of Quadratic Hedging Strategies in Finance via Fourier Transforms.” JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 296 (2016): 56–88. Print.
@article{6936134,
  author       = {Daveloose, Catherine and Khedher, Asma and Vanmaele, Mich{\`e}le},
  issn         = {0377-0427},
  journal      = {JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS},
  keyword      = {CONVERGENCE,SIMULATION,OPTION PRICES,MARTINGALE MEASURES,LEVY PROCESSES,FOLLMER-SCHWEIZER DECOMPOSITION,Robustness,Fourier transforms,Quadratic hedging,Options,Levy processes},
  language     = {eng},
  pages        = {56--88},
  title        = {Robustness of quadratic hedging strategies in finance via Fourier transforms},
  url          = {http://dx.doi.org/10.1016/j.cam.2015.09.005},
  volume       = {296},
  year         = {2016},
}

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